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Adaptive smoothing methods for frequency-function estimation

✍ Scribed by Anders Stenman; Fredrik Gustafsson

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 226 KB
Volume: 37
Category: Article
ISSN: 0005-1098
DOI: 10.1016/s0005-1098(01)00004-8

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✦ Synopsis

The determination of resolution parameter when estimating frequency functions of linear systems is a trade-o! between bias and variance. Traditional approaches, like `window-closinga employ a global resolution parameter * the window width * that is tuned by ad hoc methods, usually visual inspection of the results. Here we explore more sophisticated estimation methods, based on local polynomial modeling, that tune such parameters by automatic procedures. A further bene"t is that the tuning can be performed locally, i.e., that di!erent resolutions can be used in di!erent frequency bands. The approach is thus a conceptually simple and useful alternative to more established multi-resolution techniques like wavelets. The advantages of the method are illustrated in a numerical simulation.

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